Professor of Econometrics
Vrije Universiteit Amsterdam School of Business and Economics
CREATES, Aarhus University
- (March 8, 2019)
New entries have appeared in the recent publications section.
- (March 6, 2019)
Our MSc Econometrics and OR programme has been awarded a top rated programme distinction.
- (March 6, 2019)
We invite you for our
Workshop on score-driven time series models, 28-29 March 2019
organised by F. Blasques, A.C. Harvey, S.J. Koopman and A. Lucas.
- (February 9, 2019)
New entries have appeared in the recent papers section.
- (December 21, 2018)
Top 40 of Economists
in The Netherlands for 2018 is out. It is published by
- (October 18, 2018)
dr. Geert Mesters (recipient of
NWO VENI grant),
dr. Luca Rossini
(Marie Sklodowska-Curie research fellow) and
prof.dr. Andre Lucas (Head of Department)
in our fastly growing
VU Econometrics Group.
- (October 17, 2018)
We are preparing the Econometric Forecasting Challenge for 2019, please follow
the developments at
Jobmarket candidates 2018
The following jobmarket candidates from
the "vu econometrics" group have accepted positions:
Recent working papers
Siem Jan Koopman
S.J. Koopman | Department of Econometrics | Vrije Universiteit Amsterdam SBE | De Boelelaan 1105 | 1081 HV Amsterdam | The Netherlands
VU Campus | Main Building
Telephone:+31 20 598 60 19
Fax:+31 20 598 60 20
E-mail: s.j.koopman [at] vu.nl
Secretary: Hedda Werkman (+31 20 598 6010)
SJK is Professor of Econometrics at the
Department of Econometrics,
Vrije Universiteit Amsterdam.
He is also a research fellow at
long-term Visiting Professor
at CREATES, University of Aarhus.
Furthermore, he is a
Journal of Applied Econometrics
Distinguished Author, and
Society of Financial Econometrics
He held positions at
London School of Economics and
CentER (Tilburg University), and
had long-term visits at
US Bureau of the Census,
European University Institute,
European Central Bank, Financial Research.
Time Series Analysis by State Space Methods
is written by J. Durbin and SJK. The book originally appeared in 2001, the
Second Edition in 2012.
An Introduction to State Space Time Series Analysis
appeared in 2007 and is written by J.J.F. Commandeur and SJK.
His other books (co-authored, software and editorial) are listed
The research interests of SJK cover topics in time series econometrics,
financial econometrics, forecasting and simulation-based estimation.
His current research focusses on score-driven time-varying parameter models
state space models and dynamic factor models.
He fullfills editorial duties at
Journal of Business and Economic Statistics,
Journal of Applied Econometrics,
Journal of Forecasting.
Finally, SJK is an
software developer for